Option Returns

Option Data from Yahoo

import yfinance as yf
tick = yf.Ticker('aapl')

tick.options is the set of traded maturities
tick.option_chain(“some date”) is an object containing call and put data
tick.option_chain(“some date”).calls is a dataframe of call info
tick.option_chain(“some date”).puts is a dataframe of put info

Apple stock price on Feb 2, 2023

tick.history().iloc[-1]

Open            1.489000e+02
High            1.511800e+02
Low             1.481700e+02
Close           1.508200e+02
Volume          1.168686e+08
Dividends       0.000000e+00
Stock Splits    0.000000e+00
Name: 2023-02-02 00:00:00-05:00, dtype: float64

Apple calls on Feb 2, 2023

df = tick.option_chain("2023-03-17").calls
df = df.set_index("strike")
df.iloc[:,2:5].loc[130:170]

	lastPrice	bid	ask
strike
130.0	21.34	0.0	0.0
135.0	17.40	0.0	0.0
140.0	13.50	0.0	0.0
145.0	9.95	0.0	0.0
150.0	6.80	0.0	0.0
155.0	4.40	0.0	0.0
160.0	2.64	0.0	0.0
165.0	1.50	0.0	0.0
170.0	0.88	0.0	0.0

Possible returns

Suppose we bought the 140 (in the money) call for $13.50 or the 160 )out of the money) call for $2.64.

Suppose Apple $\uparrow$ 10% between Feb 2 and Mar 17: $150.82 $\rightarrow$ $165.90
- $140 call: $13.50 $\rightarrow$ $25.90 = 92% return
- $160 call: $2.64 $\rightarrow$ $5.90 = 123% return
Suppose Apple stays at $150.82
- $140 call: $13.50 $\rightarrow$ $10.82 = 20% loss
- call: $2.64 $\rightarrow$ 0 = 100% loss

Apple puts on Feb 2, 2023

df = tick.option_chain("2023-03-17").puts
df = df.set_index("strike")
df.iloc[:,2:5].loc[130:170]

	lastPrice	bid	ask
strike
130.0	0.84	0.0	0.0
135.0	1.36	0.0	0.0
140.0	2.25	0.0	0.0
145.0	3.60	0.0	0.0
150.0	5.67	0.0	0.0
155.0	8.48	0.0	0.0
160.0	11.50	0.0	0.0
165.0	16.53	0.0	0.0
170.0	21.00	0.0	0.0

Possible returns

Suppose we bought the 140 put for $2.25.

Suppose Apple $\down$ 10% between Feb 2 and Mar 17.
- $150.82 $\rightarrow$ $135.74
- put: $2.25 $\rightarrow$ $4.26 = 89% return
Suppose Apple stays at $150.82
- put: $2.25 $\rightarrow$ 0 = -100% return